Backward stochastic differential equations with regime-switching and sublinear expectations

Autor:	Vega, Engel John C. Dela, Elliott, Robert J.
Rok vydání:	2021
Předmět:	Mathematics - Probability 60H10 (Primary) 60J28 (Secondary)
Druh dokumentu:	Working Paper
DOI:	10.1016/j.spa.2022.02.012
Popis:	This paper introduces a backward stochastic differential equation driven by both Brownian motion and a Markov chain (BSDEBM). Regime-switching is also incorporated through its driver. The existence and uniqueness of the solution of the BSDEBM are proved. A comparison theorem is also derived. Filtration consistent sublinear expectations are defined and characterized as solutions to the BSDEBM. The bid and ask prices are then represented using sublinear expectations. Comment: 19 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2112.02375 Zobrazit plný text záznamu View this record from Arxiv